Hassler, Uwe (2009)
The Effect of Linear Time Trends on Cointegration Testing in Single Equations.
Report, Erstveröffentlichung
Kurzbeschreibung (Abstract)
This paper surveys the asymptotic distributions of three widely used single equation cointegration tests. Particular attention is paid to the case where the regressors are integrated with drift, i.e. at least one of the regressors follows a linear trend. Even if the regressions are not detrended, the asymptotic critical values are affected by the presence of linear trends in the regressors. Not taking into account this effect leads to tests that are biased towards establishing cointegration too often. The correct limiting distribution theory of regressions without detrending in the presence of integrated regressors with drift is described. Appropriate critical values are readily available from the literature and are simple to use following the tables included here.
| Typ des Eintrags: | Report |
|---|---|
| Erschienen: | 2009 |
| Autor(en): | Hassler, Uwe |
| Art des Eintrags: | Erstveröffentlichung |
| Titel: | The Effect of Linear Time Trends on Cointegration Testing in Single Equations |
| Sprache: | Englisch |
| Publikationsjahr: | 2009 |
| Ort: | Darmstadt |
| Reihe: | Darmstadt Discussion Papers in Economics |
| Band einer Reihe: | 111 |
| URL / URN: | http://tuprints.ulb.tu-darmstadt.de/4810 |
| Kurzbeschreibung (Abstract): | This paper surveys the asymptotic distributions of three widely used single equation cointegration tests. Particular attention is paid to the case where the regressors are integrated with drift, i.e. at least one of the regressors follows a linear trend. Even if the regressions are not detrended, the asymptotic critical values are affected by the presence of linear trends in the regressors. Not taking into account this effect leads to tests that are biased towards establishing cointegration too often. The correct limiting distribution theory of regressions without detrending in the presence of integrated regressors with drift is described. Appropriate critical values are readily available from the literature and are simple to use following the tables included here. |
| URN: | urn:nbn:de:tuda-tuprints-48102 |
| Zusätzliche Informationen: | Erstellt September 2002 |
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 300 Sozialwissenschaften > 330 Wirtschaft |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete |
| Hinterlegungsdatum: | 07 Feb 2016 20:56 |
| Letzte Änderung: | 25 Okt 2023 07:16 |
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